Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
نویسندگان
چکیده
منابع مشابه
Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
We consider portmanteau tests for testing the adequacy of structural vector autoregressive moving-average (VARMA) models under the assumption that the errors are uncorrelated but not necessarily independent. The structural forms are mainly used in econometrics to introduce instantaneous relationships between economic variables. We first study the joint distribution of the quasi-maximum likeliho...
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ژورنال
عنوان ژورنال: Journal of Statistical Planning and Inference
سال: 2011
ISSN: 0378-3758
DOI: 10.1016/j.jspi.2011.03.022